Try this for the typical cold blues:
Clean
clean again
Heat (only to about too hot to want to hold onto), this will force out any oils/residue left, especially around and joints
Clean again
Apply blue solution or cream (you can do cold or heat again if you like), repeat application until depth of color desired
I buff with a course cloth rather than steel wool as too much enthusiasm/pressure with SW will pull the color surface
For small parts I usually clean then boil them and lift with a needlenose pliers or a pre-applied wire